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Stat., Theory Methods</a> <a href="/?q=in%3A482128" title="Articles in this Issue">49, No. 12, 2831-2868 (2020)</a>. </div> <div class="abstract">Summary: In this paper, we discuss several different styles of multi-period mean-variance portfolio optimization problems under the serially correlated returns. We derive the time-consistent strategies for the classical multi-period mean-variance optimization with and without risk-free asset using a backward induction approach. We also propose an alternative multi-period mean-variance model, and the corresponding time-consistent strategies are derived. Whereafter, we provide some portfolio evaluation indexes and perform extensive empirical studies based on real data, aiming to provide useful advice for investors. To a large extent, the empirical results answer one important and practical question: in actual investment situations, which strategy is preferred by different investors?</div> <div class="clear"></div> <br> <div class="citations"><div class="clear"><a href="/?q=rf%3A7528713">Cited in <strong>4</strong> Documents</a></div></div> <div class="classification"> <h3>MSC:</h3> <table><tr> <td> <a class="mono" href="/classification/?q=cc%3A91G10" title="MSC2020">91G10</a> </td> <td class="space"> Portfolio theory </td> </tr></table> </div><div class="keywords"> <h3>Keywords:</h3><a href="/?q=ut%3Amean-variance+portfolio+optimization">mean-variance portfolio optimization</a>; <a href="/?q=ut%3Atime-consistent+strategy">time-consistent strategy</a>; <a href="/?q=ut%3Aserially+correlated+returns">serially correlated returns</a>; <a href="/?q=ut%3Aportfolio+performance+evaluation">portfolio performance evaluation</a></div> <!-- Modal used to show zbmath metadata in different output formats--> <div class="modal fade" id="metadataModal" tabindex="-1" role="dialog" aria-labelledby="myModalLabel"> <div class="modal-dialog" role="document"> <div class="modal-content"> <div class="modal-header"> <button type="button" class="close" data-dismiss="modal" aria-label="Close"><span aria-hidden="true">×</span></button> <h4 class="modal-title" id="myModalLabel">Cite</h4> </div> <div class="modal-body"> <div class="form-group"> <label for="select-output" class="control-label">Format</label> <select id="select-output" class="form-control" aria-label="Select Metadata format"></select> </div> <div class="form-group"> <label for="metadataText" class="control-label">Result</label> <textarea class="form-control" id="metadataText" rows="10" style="min-width: 100%;max-width: 100%"></textarea> </div> <div id="metadata-alert" class="alert alert-danger" role="alert" style="display: none;"> <!-- alert for connection errors etc --> </div> </div> <div class="modal-footer"> <button type="button" class="btn btn-primary" onclick="copyMetadata()">Copy to clipboard</button> <button type="button" class="btn btn-default" data-dismiss="modal">Close</button> </div> </div> </div> </div> <div class="functions clearfix"> <div class="function"> <!-- Button trigger metadata modal --> <a type="button" class="btn btn-default btn-xs pdf" data-toggle="modal" data-target="#metadataModal" data-itemtype="Zbl" data-itemname="Zbl 1511.91137" data-ciurl="/ci/07528713" data-biburl="/bibtex/07528713.bib" data-amsurl="/amsrefs/07528713.bib" data-xmlurl="/xml/07528713.xml" > Cite </a> <a class="btn btn-default btn-xs pdf" data-container="body" type="button" href="/pdf/07528713.pdf" title="Zbl 1511.91137 as PDF">Review PDF</a> </div> <div class="fulltexts"> <span class="fulltext">Full Text:</span> <a class="btn btn-default btn-xs" type="button" href="https://doi.org/10.1080/03610926.2019.1636999" aria-label="DOI for “Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns”" title="10.1080/03610926.2019.1636999">DOI</a> </div> <div class="sfx" style="float: right;"> </div> </div> <div class="references"> <h3>References:</h3> <table><tr> <td>[1]</td> <td class="space">Basak, S.; Chabakauri, G., Dynamic mean-variance asset allocation, Review of Financial Studies, 23, 8, 2970-3016 (2010) · <a href="https://doi.org/10.1093/rfs/hhq028" class="nowrap">doi:10.1093/rfs/hhq028</a></td> </tr><tr> <td>[2]</td> <td class="space">Bensoussan, A.; Wong, K. 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